level 2 market data, unit tests

yuelianghaoyuana · Nov 3, 2013 · 583ffd5 · 583ffd5
1 parent 3dfeb37
commit 583ffd5
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Showing 42 changed files with 8,599 additions and 51 deletions.
diff --git a/agent/DummyAgent.py b/agent/DummyAgent.py
@@ -11,22 +11,35 @@ def __init__(self, service_locator):
         self.services = service_locator
         self.x = 0
 
-    def process(self, symbol):
-        self.services.logger.info("Received Market Data Event on symbol %s" % symbol)
+    def process(self, symbol):        
         data = self.services.bus.get_market_data()        
-        self.services.logger.info("BID: %d, ASK: %d, PRICE: %d, SIZE: %d" % (data[symbol]["bid"], data[symbol]["ask"], data[symbol]["price"], data[symbol]["size"]))
+        self.services.logger.info("Market data received %s" % (data))
 
-        if self.x == 0:
+        if self.x >= 0:
+            self.services.logger.info("Sending Order Now:")
             o = Order()
             o.side = 1
-            o.price = 16
-            o.size = 50
+            o.price = data[symbol]["ask-1"]["price"]
+            o.size = 5000000
+            o.leaves = o.size
             o.symbol = symbol
             o.id = "MyOrder"
 
             self.services.order_dispatcher.new_order(o)           
 
             self.x += 1
+        print "!!!!!!!!!!!!!!!!!!! ", data["a"]["event"]
+        if data["a"]["event"] == "trade":
+            self.services.publisher.publish("DummyAgent", {"bid": data[symbol]["bid-0"]["price"], 
+                                                           "ask": data[symbol]["ask-0"]["price"], 
+                                                           "bid_size": data[symbol]["bid-0"]["size"], 
+                                                           "ask_size": data[symbol]["ask-0"]["size"],
+                                                           "price": data[symbol]["last"]["price"],
+                                                           "quantity": data[symbol]["last"]["quantity"], 
+                                                           "time":  data[symbol]["time"]})
 
     def process_report(self, id):
-        print "execution!!!!!!!!!!!!"
+        execs = self.services.bus.get_executions()[id]
+        self.services.logger.info("execution!!!!!!!!!!!!" + str(id)  + " number: " +  str(len(execs)))
+        for e in execs:
+            self.services.logger.info( e)
diff --git a/agent/DummyAgent.pyc b/agent/DummyAgent.pyc
diff --git a/agent/__init__.pyc b/agent/__init__.pyc
diff --git a/bus/Bus.py b/bus/Bus.py
@@ -20,7 +20,8 @@ def __init__(self):
 
         self._last_execution = {}
 
-
+        self._indicators = {}
+
     def __setitem__(self, key, value):
         self.data[key] = value
 
@@ -29,6 +30,12 @@ def get_market_data(self):
 
     def get_orderbook(self):
         return self._private_data
+
+    def get_executions(self):
+        return self._last_execution
+
+    def get_indicators(self):
+        return self._indicators
 
     def inject_snapshot(self, symbol, snapshot):
         self._public_data_update[symbol] = snapshot
@@ -38,7 +45,9 @@ def insert_new_order(self, order):
         self._private_data_update[order.id] = order
 
     def push_public_update(self, symbol):
-        self._public_data[symbol] =  self._public_data_update[symbol]
+        if not self._public_data.has_key(symbol):
+            self._public_data[symbol] = {}
+        self._public_data[symbol].update(self._public_data_update[symbol])
         del self._public_data_update[symbol]
 
     def push_private_update(self, id):

diff --git a/bus/Bus.pyc b/bus/Bus.pyc
diff --git a/bus/__init__.pyc b/bus/__init__.pyc
diff --git a/events/__init__.pyc b/events/__init__.pyc
diff --git a/events/event.pyc b/events/event.pyc
diff --git a/events/idle_queue.pyc b/events/idle_queue.pyc
diff --git a/events/signals.pyc b/events/signals.pyc
diff --git a/events/weak_ref.pyc b/events/weak_ref.pyc
diff --git a/injecter/Level1FastInjecter.pyc b/injecter/Level1FastInjecter.pyc
diff --git a/injecter/Level2HDFInjecter.py b/injecter/Level2HDFInjecter.py
@@ -0,0 +1,71 @@
+'''
+Created on Nov 1, 2013
+
+@author: Silver
+'''
+import pandas as pd
+from datetime import datetime, timedelta
+
+class Level2HDFInjecter():
+    def __init__(self, service_locator, filename):
+        self.services = service_locator
+        self.filename = filename
+        self.symbol = "a" # TODO
+
+    def main_loop(self, parameter):
+        data = pd.HDFStore(self.filename, "r")
+        orderbooks = data.get("/df_obs")
+        trades     = data.get("/df_trades")
+
+        i_ob = 0
+        i_tr = 0
+
+        while i_ob < len(orderbooks) or i_tr < len(trades): 
+            # decide which event to insert
+            if i_tr >= len(trades) or orderbooks.ix[i_ob]["ts_recv"] <= trades.ix[i_tr]["ts_market"]:                
+                row = orderbooks.ix[i_ob]
+                i_ob += 1
+
+                if row["Pbid 1"] == 0 or row["Pask 1"] == 0: continue                    
+
+                snapshot = {"time": row["ts_recv"],
+                            "bid-0": {"price": row["Pbid 1"], "size": row["Qbid 1"]},
+                            "bid-1": {"price": row["Pbid 2"], "size": row["Qbid 2"]},
+                            "bid-2": {"price": row["Pbid 3"], "size": row["Qbid 3"]},
+                            "bid-3": {"price": row["Pbid 4"], "size": row["Qbid 4"]},
+                            "bid-4": {"price": row["Pbid 5"], "size": row["Qbid 5"]},
+
+                            "ask-0": {"price": row["Pask 1"], "size": row["Qask 1"]},
+                            "ask-1": {"price": row["Pask 2"], "size": row["Qask 2"]},
+                            "ask-2": {"price": row["Pask 3"], "size": row["Qask 3"]},
+                            "ask-3": {"price": row["Pask 4"], "size": row["Qask 4"]},
+                            "ask-4": {"price": row["Pask 5"], "size": row["Qask 5"]},
+                            "depth": 5,
+                            "event": "lob"                            
+                            }
+
+                self.services.logger.info("injecting orderbook row: %s" % snapshot)
+                self.services.bus.inject_snapshot(self.symbol, snapshot)
+                self.services.events['SnapshotInject'].emit(self.symbol)
+
+            else:
+                row = trades.ix[i_tr]
+                i_tr += 1
+                if row["qty"] == 0: continue;
+
+                snapshot = {"time": row["ts_market"],
+                            "last": {"price": row["price"], "quantity": row["qty"], "exchange": row["source"], "side": row["side"], "type": row["type"]},
+                            "stats": {"volume": row["volume"], "vwap": row["vwap"]},
+                            "event": "trade"  
+                            }
+
+                self.services.logger.info("injecting trades row: %s" % snapshot)
+                self.services.bus.inject_snapshot(self.symbol, snapshot)
+                self.services.events['SnapshotInject'].emit(self.symbol)
+
+
+
+
+
+
+
diff --git a/injecter/Level2HDFInjecter.pyc b/injecter/Level2HDFInjecter.pyc
diff --git a/injecter/__init__.pyc b/injecter/__init__.pyc
diff --git a/input_files/nestle_2013_10_21.h5 b/input_files/nestle_2013_10_21.h5
diff --git a/input_files/test_trades.h5 b/input_files/test_trades.h5
diff --git a/matching_engine/Level1MatchingEngine.py b/matching_engine/Level1MatchingEngine.py
@@ -22,25 +22,6 @@ def on_new_order(self, id):
 
         # add rejection logic here if needed
         self.services.events['AckNew'].emit(id)
-
-        # immediate execution logic
-        executions = self.services.rulebook.match(id = id)
-        if executions:
-            # push execution in the bus
-            self.services.bus._last_execution[id] = executions
-
-            # update the order
-            for e in executions:                
-                self.services.bus.get_orderbook()[id].leaves -= e.size
-                self.services.bus.get_orderbook()[id].executed += e.size
-                if self.services.bus.get_orderbook()[id].leaves <= 0:
-                    del self.services.bus.get_orderbook()[id]
-                    break
-
-            self.services.events['Execution'].emit(id)
-
-
-
 
     def inject_modify_order(self, symbol, id, order):
         pass

diff --git a/matching_engine/Level1MatchingEngine.pyc b/matching_engine/Level1MatchingEngine.pyc
diff --git a/matching_engine/MatchingEngine.pyc b/matching_engine/MatchingEngine.pyc
diff --git a/matching_engine/__init__.pyc b/matching_engine/__init__.pyc
diff --git a/objects/MarketManager.py b/objects/MarketManager.py
@@ -0,0 +1,5 @@
+'''
+Created on Nov 1, 2013
+
+@author: Silver
+'''
diff --git a/objects/MoneyManager.py b/objects/MoneyManager.py
@@ -0,0 +1,5 @@
+'''
+Created on Nov 1, 2013
+
+@author: Silver
+'''
diff --git a/objects/Order.py b/objects/Order.py
@@ -11,7 +11,7 @@ def __init__(self):
         self.size  = 0
         self.price = 0
         self.symbol = ""
-        self.leaves = self.size
+        self.leaves = "unset"
         self.timeinforce = ""
         self.id = ""
         self.executed = 0

diff --git a/objects/Order.pyc b/objects/Order.pyc
diff --git a/objects/__init__.pyc b/objects/__init__.pyc